自相关问题：从发现到解决 - 回顾计量经济学史

DONALD COCHRANE and GUY H. ORCUTT (1949) were the first to notice that this practice might cause problems. They showed that if residuals of an estimated regression equation are positively autocorrelated, the variances of the regression parameters are underestimated and, therefore, the values of the F and t statistics are overestimated. This problem could be solved, at least for the frequent case of first order autocorrelation, by transforming the data adequately. Almost at the same time, JAMES DURBIN and GEOFFREY S. WATSON (1950/51) developed a test procedure which made it possible to identify first order autocorrelation. The problem seemed to be solved (more or less), and, until the 1970’s, the issue was hardly ever raised in the field of empirical econometrics.